Do investors’ sentiment dynamics affect stock returns? Evidence from the US economy

Theologos Dergiades

Economics Letters, 2012, vol. 116, issue 3, 404-407

Abstract: This paper contributes to the understanding of the non-linear causal linkage between investors’ sentiment dynamics and stock returns for the US economy. Employing the sentiment index developed by Baker and Wurgler [Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21 (2), 129–151] and within a non-linear causality framework, we found that sentiment embodies significant predictive power with respect to stock returns.

Keywords: Investors’ sentiment; Stock returns; Non-linear Granger causality (search for similar items in EconPapers)
JEL-codes: C14 C22 G11 G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176512001486
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy (2012)
Working Paper: Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:404-407

DOI: 10.1016/j.econlet.2012.04.018

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().